You can enable per user skins from Site Settings and then users can try any of the available skins in the site.
We don't currently have the preview link there like we do in Site Settings, but I will add a wish list item for that in our project tracker.
Per user skins is not going to work well if you are using .NET 3.5 under Medium Trust because of the way the theme.skin files can't be loaded from the skin folder in that configuration. As long as you have either Full Trust or .NET 4 hosting it should work ok.
Best,
Joe